Estímulos fiscais e a interação entre as políticas monetária e fiscal no Brasil

• Ano de defesa: 2012
• Autor(a) principal: Barros, Julio Cesar de Mello
• Orientador(a): Lima, Elcyon Caiado Rocha
• Banca de defesa: Tourinho, Octavio Augusto Fontes , Cavalcanti, Marco Antônio Freitas de Hollanda
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade do Estado do Rio de Janeiro
• Programa de Pós-Graduação: Programa de Pós-Graduação em Ciências Econômicas
• Departamento: Centro de Ciências Sociais::Faculdade de Ciências Econômicas
• País: BR
• Palavras-chave em Português: Regra de Política Monetária e Fiscal; Estímulo Fiscal. Markov-Switching; Modelo Novo Keynesiano; MEGED; Brasil; Política monetária Brasil; Política tributária Brasil; Política econômica Brasil
• Palavras-chave em Inglês: Monetary and Fiscal Policy Rule; Markov-Switching; Fiscal Stimulus; New Keynesian Model; DSGE. Brazil
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
• Link de acesso: http://www.bdtd.uerj.br/handle/1/7599

This paper estimates, using quarterly data from 1999 to 2011, the dynamic impacts of a fiscal stimulus in Brazil on key Brazilian macroeconomic variables. The estimates take into account the effects of the existence and of the probabilities of occurrence of the switching monetary policy regimes (two regimes were detected) on agent s expectations formation. The monetary policy rules parameters, in the two detected regimes, were estimated through a Markov regime-switching model composed only by the monetary policy rule equation. The fiscal rule s parameters of the unique detected fiscal policy regime were estimated through a Vector Error Correction (VEC) model composed only by the variables pertained to the fiscal policy rule. The monetary and fiscal policy rules parameters were auxiliary in the calibration of a Dynamic Stochastic General Equilibrium (DSGE) model with regime-switching, nominal price rigidity and monopolistic competition (as in Davig and Leeper (2011)). After the DSGE s calibration the fiscal stimulus s impacts were obtained through a numerical routine (developed by Davig and Leeper (2006)) that solves a set of nonlinear expectational first-order difference equations and gives the dynamic equilibrium of the model. Our results suggest that fiscal policy was passive during the whole period and that monetary policy was always active, but they were more active at certain times and in others, less active. Overall, in both combinations of regimes, a government spending shock induces an increase in the output gap, increases in real interest rates, a reduction in private consumption and (contrary to the conventional wisdom) a reduction in inflation.